Financial Cycles in Euro Area Economies: A Cross‐Country Perspective Using Wavelet Analysis*

We study the cross-country dimension of financial cycles for six euro area countries using wavelet analysis. Estimated cohesions show that in equity prices and interest rates display stronger synchronization across than real output cycles, whereas credit variables house lower synchronization. propose a wavelet-based extension to spectral envelope is similar frequency-based time-varying principal component The country loadings that, contrary all other variables, loans households Germany Netherlands are negatively or less strongly correlated with common cycles.